Good question - each has its benefits... then the next question is what surface, metal, bamboo, plastic, etc.!
It is an individual thing, but I can say why I prefer circular needles:
1) The 'weight of the work' falls into my lap, and I can keep my arms down instead of my elbows out. Since I have back and neck problems, this is important for me, and reduces pain, and I am able to knit longer than I could if I were using straight needles.
2) With a circular needle, I always know where my "other needle" is, because it is attached.
3) Circular needles can be used for knitting in the round (such as socks, sweaters, mittens, hats, etc.), or for doing flat knitting. Whereas straight needles can only be used for knitting flat.
Those would be the 3 major reasons I prefer circular needles over straights.